The role of Hellinger processes in mathematical finance

DOI10.3390/e3030150zbMath1015.91030OpenAlexW2164726828MaRDI QIDQ1613052

T. R. Hurd, Tahir Choulli

Publication date: 10 September 2002

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: http://www.mdpi.org/entropy/list01.htm

zbMATH Keywords

Lévy processesinformation theoryoptimal portfoliosHellinger processesfinancial mathematical

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic processes (60G99)

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Applications of entropy in finance: a review ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ Stochastic optimal control of DC pension funds ⋮ Optimal portfolio allocation with higher moments ⋮ Constant elasticity of variance model and analytical strategies for annuity contracts ⋮ Robust consumption and portfolio policies when asset prices can jump ⋮ The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts ⋮ Portfolio choice with jumps: a closed-form solution

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